Application of wavelet decomposition in time-series forecasting

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dc.authorwosidGencay, Ramazan/A-1905-2008
dc.authorwosidYazgan, Ege/GPG-1135-2022
dc.contributor.authorZhang, Keyi
dc.contributor.authorGencay, Ramazan
dc.contributor.authorYazgan, M. Ege
dc.date.accessioned2024-07-18T20:42:33Z
dc.date.available2024-07-18T20:42:33Z
dc.date.issued2017
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractObserved time series data can exhibit different components, such as trends, seasonality, and jumps, which are characterized by different coefficients in their respective data generating processes. Therefore, fitting a given time series model to aggregated data can be time consuming and may lead to a loss of forecasting accuracy. In this paper, coefficients for variable components in estimations are generated based on wavelet-based multiresolution analyses. Thus, the accuracy of forecasts based on aggregate data should be improved because the constraint of equality among the model coefficients for all data components is relaxed. (C) 2017 Elsevier B.V. All rights reserved.en_US
dc.description.sponsorshipSocial Sciences and Humanties Research Council of Canada; Natural Sciences and Engineering Research Council of Canadaen_US
dc.description.sponsorshipRamazan Gencay gratefully acknowledges financial support from the Social Sciences and Humanties Research Council of Canada and Natural Sciences and Engineering Research Council of Canada.en_US
dc.identifier.doi10.1016/j.econlet.2017.06.010
dc.identifier.endpage46en_US
dc.identifier.issn0165-1765
dc.identifier.issn1873-7374
dc.identifier.scopus2-s2.0-85030456118en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage41en_US
dc.identifier.urihttps://doi.org/10.1016/j.econlet.2017.06.010
dc.identifier.urihttps://hdl.handle.net/11411/7327
dc.identifier.volume158en_US
dc.identifier.wosWOS:000408300300012en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevier Science Saen_US
dc.relation.ispartofEconomics Lettersen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectWavelet Decompositionen_US
dc.subjectCombining Forecastsen_US
dc.subjectReconciling Forecastsen_US
dc.subjectHierarchical Time Seriesen_US
dc.subjectCombination Forecastsen_US
dc.subjectAggregateen_US
dc.titleApplication of wavelet decomposition in time-series forecasting
dc.typeArticle

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